\chapter{My Second Chapter}
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\section{First Section}
\markboth{\MakeUppercase{\thechapter. My Second Chapter }}
And now I begin my second chapter here ...

\section{Second Section}
\markboth{\MakeUppercase{\thechapter. My Second Chapter }}
and here I write more ...

\subsection{first subsection in the Second Section}
... and some more ...

\subsection{second subsection in the Second Section}
... and some more ...

\subsection{third subsection in the Second Section}
... and some more ...

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